New: Trailing Stop indicator

Calculations/ClassStructures/TOrders.cs

@@ -0,0 +1,34 @@
+namespace QuanTAlib;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Data;
+using System.Linq;
+
+
+public enum OType {
+	NIL = 0, // No position
+	BTO = 1, // Buy to Open
+	STC = 2, // Sell to Close
+	STO = 3, // Sell to Open
+	BTC = 4, // Buy to Close
+	END = 5, // Exit the trade
+}
+
+
+public class TOrders : List<(DateTime t, OType o)> {
+
+	public void Add((DateTime t, OType o) TOrder, bool update = false)
+	{
+		if (update) { this[^1] = TOrder; }
+		else { base.Add(TOrder); }
+		OnEvent(update);
+	}
+
+
+	protected virtual void OnEvent(bool update = false) {
+		Pub?.Invoke(this, new TSeriesEventArgs { update = update }); }
+	public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
+	public event NewDataEventHandler Pub;
+
+}

Calculations/ClassStructures/TSeries.cs

@@ -2,56 +2,62 @@
 using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
+using System.Data;
 using System.Linq;
 
 /* <summary>
-TSeries is the cornerstone of all QuanTAlib classess. 
+TSeries is the cornerstone of all QuanTAlib classes.
-    TSeries is a single List of tuples (time, value) and contains several operators, casts, overloads 
+    TSeries is a single List of tuples (time, value) and contains several operators, casts, overloads
-    and other helpers that simplify usage of library. 
+    and other helpers that simplify usage of library.
     Think of TSeries as an equivalent of Numpy array.
-    
+
         - includes Length property (to mimic array's method)
         - includes publishing and subscribing methods that attach to events
 
 </summary> */
+
+
+public class TSeriesEventArgs : EventArgs{
+  public bool update { get; set; }
+}
+
 public class TSeries : List<(DateTime t, double v)> {
 
 	public static implicit operator (DateTime t, double v)(TSeries l) => l[^1];
 	public static implicit operator double(TSeries l) => l[^1].v;
 	public static implicit operator DateTime(TSeries l) => l[^1].t;
-	public ReadOnlyCollection<DateTime> t => this.Select(item => item.t).ToList().AsReadOnly();
+	public List<DateTime> t => this.Select(item => item.t).ToList();
-	public ReadOnlyCollection<double> v => this.Select(item => item.v).ToList().AsReadOnly();
+	public List<double> v => this.Select(item => item.v).ToList();
-	public int Length => Count;
+	public int Length => this.Count;
 
 	public TSeries Tail(int count = 10) {
 		var tailSeries = new TSeries();
 		tailSeries.AddRange(this.Skip(Math.Max(0, this.Count - count)).Take(count));
 		return tailSeries;
 	}
-	public void Add((DateTime t, double v) TValue, bool update = false) {
+	public (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
 		if (update) { this[^1] = TValue; }
 		else { base.Add(TValue); }
 		OnEvent(update);
+		return TValue;
 	}
 
 	public void Add(DateTime t, double v, bool update = false) => this.Add((t, v), update);
-  public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
+	public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
-  protected virtual void OnEvent(bool update = false) {
+	protected virtual void OnEvent(bool update = false) {
-    Pub?.Invoke(this, new TSeriesEventArgs { update = update }); }
+		Pub?.Invoke(this, new TSeriesEventArgs { update = update });
+	}
 
-  public delegate  void NewDataEventHandler(object source, TSeriesEventArgs args);
+	public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
-  public event NewDataEventHandler Pub;
+	public event NewDataEventHandler Pub;
 
-  public void Sub(object source, TSeriesEventArgs e) {
+	public void Sub(object source, TSeriesEventArgs e) {
-    TSeries ss = (TSeries)source;
+		TSeries ss = (TSeries)source;
-    if (ss.Count > 0) {
+		if (ss.Count > 0) {
-      this.AddRange(ss);
+			this.AddRange(ss);
-    } else {
-		  Add(ss[^1], e.update);
 		}
-  }
+		else {
-}
+			this.Add(ss[^1], e.update);
-
+		}
-public class TSeriesEventArgs : EventArgs{
+	}
-  public bool update { get; set; }
 }

Calculations/Statistics/SDEV_Series.cs

@@ -18,7 +18,7 @@ Remark:
 
 public class SDEV_Series : Single_TSeries_Indicator
 {
-    public SDEV_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+    public SDEV_Series(TSeries source, int period=0, bool useNaN = false) : base(source, period, useNaN)
     {
         if (base._data.Count > 0) { base.Add(base._data); }
     }

Indicators/Charts/TrailingStop.cs

@@ -0,0 +1,89 @@
+using System;
+using System.Diagnostics;
+using System.Drawing;
+using System.Linq;
+using TradingPlatform.BusinessLayer;
+namespace QuanTAlib;
+
+public class TrailingStop_chart : Indicator {
+	#region Parameters
+
+	[InputParameter("Period", 0, 1, 100, 1, 1)]
+	protected int _period = 30;
+	
+	[InputParameter("Factor", 1, 1, 100, 0.1, 1)]
+	protected double _factor = 10;
+
+	[InputParameter("Long TS", 2)]
+	private bool _LongTS = true;
+
+	[InputParameter("Short TS", 3)]
+	private bool _ShortTS = false;
+
+	#endregion Parameters
+
+	///////
+	private HistoricalData History;
+	private TBars bars;
+	private ATR_Series _atr;
+
+	private double _tslineL, _ratchetL, _tslineS, _ratchetS;
+	///////
+
+	public TrailingStop_chart() :base() {
+		Name = $"ATR Trailing Stop";
+		AddLineSeries(lineName: "TrailingATR Long", lineColor: Color.Yellow, lineWidth:  1,lineStyle: LineStyle.Dot);
+		AddLineSeries(lineName: "Ratchet Long", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
+
+		AddLineSeries(lineName: "TrailingATR Short", lineColor: Color.Yellow, lineWidth: 1, lineStyle: LineStyle.Dot);
+		AddLineSeries(lineName: "Ratchet Short", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
+		SeparateWindow = false;
+	}
+
+
+	protected override void OnInit() {
+		this.Name = $"Trailing Stop (ATR:{_period}, Mult:{_factor:f2})";
+		this.bars = new();
+
+		this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
+		for (int i = this.History.Count - 1; i >= 0; i--) {
+			var rec = this.History[i, SeekOriginHistory.Begin];
+			bars.Add(rec.TimeLeft, rec[PriceType.Open],
+			rec[PriceType.High], rec[PriceType.Low],
+			rec[PriceType.Close], rec[PriceType.Volume]);
+		}
+		_atr = new(source: bars, _period, useNaN: true);
+		_ratchetL = Double.NegativeInfinity;
+		_ratchetS = Double.PositiveInfinity;
+
+		this.LinesSeries[0].Visible = _LongTS;
+		this.LinesSeries[1].Visible = _LongTS;
+		this.LinesSeries[2].Visible = _ShortTS;
+		this.LinesSeries[3].Visible = _ShortTS;
+	}
+
+	protected override void OnUpdate(UpdateArgs args) {
+		bool update = !(args.Reason == UpdateReason.NewBar ||
+								args.Reason == UpdateReason.HistoricalBar);
+		this.bars.Add(this.Time(), this.GetPrice(PriceType.Open),
+									this.GetPrice(PriceType.High),
+									this.GetPrice(PriceType.Low),
+									this.GetPrice(PriceType.Close),
+									this.GetPrice(PriceType.Volume), update);
+		
+		_tslineL = bars.High[^1].v - (_factor * _atr[^1].v);
+		_ratchetL = Math.Max(_tslineL,_ratchetL);
+		_ratchetL = (_ratchetL > bars.Low[^1].v) ? _tslineL : _ratchetL;
+
+		_tslineS = bars.Low[^1].v + (_factor * _atr[^1].v);
+		_ratchetS = Math.Min(_tslineS, _ratchetS);
+		_ratchetS = (_ratchetS < bars.High[^1].v) ? _tslineS : _ratchetS;
+
+
+		this.SetValue(_tslineL, lineIndex: 0);
+		this.SetValue(_ratchetL, lineIndex: 1);
+		this.SetValue(_tslineS, lineIndex: 2);
+		this.SetValue(_ratchetS, lineIndex: 3);
+	}
+}
+

Tests/Basics/TSeries_Test.cs

@@ -9,7 +9,7 @@ public class TSeries_Test
     public void InsertingTuple()
     {
         TSeries s = new() { (t: DateTime.Today, v: double.Epsilon) };
-        Assert.Equal((DateTime.Today, double.Epsilon), s);
+        Assert.Equal((DateTime.Today, double.Epsilon), s[^1]);
     }
 
     [Fact]